Accurate and Robust Tests for Indirect Inference

V. CZELLAR, E. Ronchetti


septembre 2010, vol. 97, n°3, pp.621-630

Départements : Economie et Sciences de la décision

Mots clés : Indirect inference, M-estimator, Nonlinear regression, Overdispersion, Parameter test, Robust estimator, Saddlepoint test, Sparsity, Test for over-identification

accepté le 22/03/2010In this paper we propose accurate parameter and over-identification tests for indirect inference. Under the null hypothesis the new tests are asymptotically ?2-distributed with a relative error of order n?1. They exhibit better finite sample accuracy than classical tests for indirect inference, which have the same asymptotic distribution but an absolute error of order n?1/2. Robust versions of the tests are also provided. We illustrate their accuracy in nonlinear regression, Poisson regression with overdispersion and diffusion models. Author Keywords: Indirect inference; M-estimator; Nonlinear regression; Overdispersion; Parameter test; Robust estimator; Saddlepoint test; Sparsity; Test for over-identification

Acquisition Values and Optimal Financial (In)Flexibility

U. HEGE, C. Hennessy

Review of Financial Studies

juillet 2010, vol. 23, n°7, pp.2865-2899

Départements : Finance

This article analyzes optimal financial contracts for an incumbent and potential entrant accounting for prospective asset mergers. Exercising a first-mover advantage, the incumbent increases his share of surplus by issuing public debt that appreciates in the event of merger. Incumbent debt reduces the equilibrium value of entrant assets and thus reduces the return to (likelihood of) entry through two channels: venture capitalists recover less in default and ownership rights provide weaker managerial incentives. High incumbent leverage has a countervailing cost, since the resulting debt overhang prevents ex post efficient mergers if merger surplus is low. Event risk covenants limiting counterparty debt are optimal for the incumbent, further limiting the entrant's share of merger surplus. A poison-put covenant is also optimal for the incumbent, allowing him to extract the same surplus with lower debt face value.

Activating Cross-Boundary Knowledge: the Role of Simmelian Ties in the generation of innovations

D. Krackhardt, M. TORTORIELLO

Academy of Management Journal

février 2010, vol. 53, n°1, pp.167-181

Départements : Stratégie et Politique d’Entreprise

In this article, we study the conditions under which having ties that span organizational boundaries (bridging ties) are conducive to the generation of innovations. Whereas previous research has shown that bridging ties have a positive impact on innovative performance, our analysis of 276 R&D scientists and engineers reveals that there are no advantages associated with bridging per se. In contrast, our findings suggest that the advantages traditionally associated with bridging ties are contingent upon the nature of the ties forming the bridge'specifically, whether these bridging ties are Simmelian.

Agrégation séquentielle de prédicteursméthodologie générale et applications à la prévision de la qualité de lair et à celle de la consommation électrique


Journal de la Société Française de Statistique

2010, vol. 151, n°2, pp.66-106

Départements : Economie et Sciences de la décision

Mots clés : Sequential aggregation of predictors, Prediction with expert advice, Individual sequences, Air-quality forecasting, Prediction of electricity consumption

This paper is an extended written version of the talk I delivered at the "XLe Journées de Statistique" in Ottawa, 2004, when being awarded the Marie-Jeanne Laurent-Duhamel prize. It is devoted to surveying some fundamental as well as some more recent results in the field of sequential prediction of individual sequences with expert advice. It then performs two empirical studies following the stated general methodology: the first one to air-quality forecasting and the second one to the prediction of electricity consumption. Most results mentioned in the paper are based on joint works with Yannig Goude (EDF R&D) and Vivien Mallet (INRIA), together with some students whom we co-supervised for their M.Sc. theses: Marie Devaine, Sébastien Gerchinovitz and Boris Mauricette

Alliance Activity as a Dynamic Capability in the Face of a Discontinuous Technological Change


Organization Science

novembre-décembre 2010, vol. 21, n°6, pp.1213-1232

Départements : Economie et Sciences de la décision

Mots clés : Interfirm alliances, Technological discontinuity, Dynamic capabilities

Ambiguity leadership: It’s OK to be uncertain


Chief Learning Officer

avril 2010, vol. 9, n°4, pp.18-23

An additively separable representation in the Savage framework


Journal of Economic Theory

septembre 2010, vol. 145, n°5, pp.2044-2054

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

accepté le 22/04/2010 (scopus)This paper proposes necessary and sufficient conditions for an additively separable representation of preferences in the Savage framework (where the objects of choice are acts: measurable functions from an infinite set of states to a potentially finite set of consequences). A preference relation over acts is represented by the integral over the subset of the product of the state space and the consequence space which corresponds to the act, where this integral is calculated with respect to an evaluation measure on this space. The result requires neither Savage's P3 (monotonicity) nor his P4 (weak comparative probability). Nevertheless, the representation it provides is as useful as Savage's for many economic applications. © 2010 Elsevier Inc. All rights reserved.Author Keywords Additive representation; Expected utility; Monotonicity; State-dependent utility

An Interpretive Account of Logical Aggregation Theory

P. MONGIN, F. Dietrich

Revue d'Economie Politique

novembre-décembre 2010, vol. 120, n°6, pp.929-972

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Abstract: Judgment aggregation theory, or rather, as we conceive of it here, logical aggregation theory generalizes social choice theory by having the aggregation rule bear on judgments of all kinds whatever, and not barely judgments of preference. It derives from Kornhauser and Sager's doctrinal paradox and Pettit's discursive dilemma, two problems that we restate by emphasizing their conceptual differences. Henceforth, we follow the main technical advances of the theory, from the first impossibility theorem proved by List and Pettit to the completely general results of Dietrich and Mongin. We stress the collective achievement of the canonical theorem - by Dietrich and List, Dokow and Holzman, Nehring and Puppe - which provided the theory with a specific method of analysis: it consists in mathematically characterizing the impossibility agendas of a given aggregator - i.e., the sets of propositions such that no collective judgment function exists with a certain list of axiomatic properties. The presentation is unified here by the use of formal logic, for which we claim relevance at every step, and by the above-mentioned distinction between the doctrinal paradox and the discursive dilemma, which we reelaborate upon technically.Author Keywords: Judgment Aggregation; Logical Aggregattion; Doctrinal Paradox; Discursive Dilemma; General Logic; Premiss-Based vs Conclusion; Based Approach; Social Choice TheoryKeyWords Plus: JUDGMENT AGGREGATION; ARROWS THEOREM; COLLEGIAL COURTS; IMPOSSIBILITY; PROPOSITIONS; CONSTRAINTS; LANGUAGE; AGENDAS; CHOICE; BELIEF

Analyzing the Performance of Data Loading and Processing in Relational Databases

I. Lungu, V. Diaconita, A. Bara, C. PARASCHIV

Journal of Economic Computation and Economic Cybernetics Studies and Research

2010, vol. 3, pp.109-122

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Abstract. In this paper we are analyzing the performance of XML processing in different scenarios involving receiving large quantity of such documents. We are analyzing the loading and processing speed in four different scenarios involving an adapter written in an universal programming language and a relational database.Keywords: multi-thread; XML; integration; distributed systems

Another victim of the banana war - Some Reflections on the Status of the Principle of Liability in the Absence of Unlawful Conduct in the European Union Legal System


US-China Law Review

2010, vol. 7, pp.7-19

Départements : Droit et fiscalité, GREGHEC (CNRS)